Getting fired/laid off on average once a year (contracts don't last forever!)
Making substantially less than your peers once expenses are accounted for (moving, travel, and remote work are not free)
Living without corporate benefits like health, dental, eye, and liability insurance
Dealing with a tough networking/breaking-in situation as Hodgman alluded to
Going long periods of time with zero income and lots of expenses (contracts don't always appear when you want them to)
Learning more than you ever cared to know about corporate and tax law (you'd better be an expert if you don't like jail)
Having the looming threat of lawsuits hanging over your head 24/7 (please tell me you know good lawyers and accountants)
I'm going to have to disagree with a few of the above, at least, for people in my area:
- Getting laid off is a distinct possibility, but as you negotiate on a per contract basis, you get to lineup work as you see fit. If there's uncertainty for a contract beyond the next 6 months, then it means you need to lineup another contract and possibly get to choose when the time comes (or tank both on your own time to cash in and take a holiday afterwards which can be fitting if you like that lifestyle)
- Making substantially less... I have to disagree with entirely. All freelancers I've known around here (including myself, though I don't freelance as a programmer) make substantially more even after expenses (most claim twice the profit in fact). It could be that I am Canadian and our average wage (and expenses) is much lower than in the USA, and that the bulk of our clients tend to be from the USA and expect to pay more though. Thus, even if they use freelancers to cut on costs, they still end up paying us more than we'd be from a local job.
- Living without corporate benefits is a chore however. Though you get the money to handle it as part of your freelancer fee, you still need to take care of private insurances, etc. and it just takes time you wouldn't normally have to dedicate to it (even choosing your actual insurance takes time unless you're willing to pick the first one and end up overpaying).
- Break-in is really a question of reputation. One shouldn't really expect to be born a freelancer. A walk through the industry really helps, and if you play your cards right (meaning you know you intend to go freelance after a few years) you can meet some very good contacts along the way. I was personally fortunate enough to build a very strong network in my first 5 years and generally get half my work from people I used to work with, or repeat business (meaning I don't lose too much time doing biz dev and advertising myself, and which also means I don't have to accept outrageous business opportunities to get by)
- Long periods of zero income is entirely true. When the market heats up, you're likely to end up taking more than you can chew simply because you know what happens next. There is a real risk of burn-out, and working 80-90h/w during the 'good times' will feel unavoidable (personal guilt might prevent you from shrinking that down after you've gone through your first 3 months without a contract). If possible, try to keep a sideline, that is, a long-term part-time contract that pays alright and isn't particularly demanding. They are rare to come by, but if you've played your cards right, chances are you can create that opportunity when you leave your employer to start your business (assuming you leave on more than good terms).
I've even seen a programmer willingly do a lot of overtime 2 years straight and coming to an arrangement with his employer: the overtime would be paid as regular salary for the coming years as though he was still employed, though he'd be gone.
- Getting an accountant and lawyer is an absolute must. Don't think going freelance isn't like owning a business: it is almost exactly having a business of one (at least, according to Canadian law, which I'll assume isn't all that different than in the USA for this specific matter).
